The Gateway to Algorithmic and Automated Trading

alphability

Published in Automated Trader Magazine Issue 15 Q4 2009

Alphability are Automated Trader’s proprietary tradability metrics. They are environmental statistics intended to assist those building trading models/systems in determining which markets and timeframes are most favourably responsive to which generic types of model. 

For more information on Alphability, please see page 56 of the Q3 2007 edition of Automated Trader or visit http://www.automatedtrader.net/Alphability.xhtm

Figure 1: Daily Trend Alphability - top five Dow stocks

Figure 1: Daily Trend Alphability - top five Dow stocks

Alcoa has its day in the sun at last, knocking Bank of America into second position. The blow up from September 15th shows how. Elsewhere, the large yellow digging machine moves up one slot since our last issue.

Figure 2: Daily Trend Alphability - bottom five Dow stocks

Figure 2: Daily Trend Alphability - bottom five Dow stocks

It's unfair to mock the afflicted, so no blow up of J & J this issue. Though that spike up from P & G shows it will have to shape down if it's ever going to knock old faithful off the bottom slot.

Figure 3: Daily Trend Alphability - bond futures

Figure 3: Daily Trend Alphability - bond futures

The blow up of the first three hours of T-Bonds on July 21st tells you all you need to know - someone in Chicago is inhaling something illegal.

Figure 4: Daily Trend Alphability - stock index futures

Figure 4: Daily Trend Alphability - stock index futures

...as they evidently also were in Frankfurt on July 13th.

Figure 5: Daily Reversal Alphability - top five Dow stocks

Figure 5: Daily Reversal Alphability - top five Dow stocks

Plenty of vol and plenty of zig and zag means Bank of America has the compensation of retaining top slot in the Reversal Alphability stakes, as the blow up of July 7th shows.

Figure 6: Daily Reversal Alphability - bottom five Dow stocks

Figure 6: Daily Reversal Alphability - bottom five Dow stocks

Some of these youthful pretenders to J & J's throne of tedium just don't have a clue, as Wal-Mart's over-exuberance on September 3rd and 10th illustrates. I mean really.

Figure 7: Daily Reversal Alphability - bond futures

Figure 7: Daily Reversal Alphability - bond futures

Further confirmation of hallucinogenic consumption in Chicago, as the blow up for August 31st shows. The T-Bond has clearly decided it would rather be a stock index future.

Figure 8: Daily Reversal Alphability - stock index futures

Figure 8: Daily Reversal Alphability - stock index futures

...while certain stock index futures are evidently heading in the opposite direction. Zzzz.